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Hello,o
You don't understand. There are many things you did not think about.
1. AmiBroker is data-vendor independent
therefore main focus is to make features available
to EVERYONE, not only eSignal subscribers.
2. YOU CAN USE RIGHT NOW TICK DATABASES
and build N-volume, N-tick custom bars.
Playback interval is independent from base time
interval of the database !
There is nothing extra that needs to be added,
as it works right now.
3. What I was talking about is *perfect* every bit of information playback
(with all bid/ask information and real-time quote window
showing changes as in all fields as in real-time)
for that BACKFILLED data (even eSignal one) is NOT ENOUGH
as it sends only trades/bid/ask without any extra fields
as reported by GetRTData
You need to collect all those data in real-time and save them
for all symbols simultaneously.
4. eSignal tick files are PER SYMBOL, and because of that they lack important information:
the PRECISE ORDER in which ticks arrived for more than one symbol.
This is so because Ticks date stamp resolution is ONE SECOND,
therefore if MORE THAN ONE TICK occurs in the VERY SAME SECOND
for more than ONE SYMBOL, it essentially means that it can not be
known from individual (separate) symbol tick files the original order of ticks
between symbols.
Let assume that original order of ticks was:
MSFT Trade1 10:00:00
INTC Trade1 10:00:00
MSFT Trade2 10:00:00
MSFT Trade3 10:00:00
MSFT Trade4 10:00:00
INTC Trade2 10:00:00
Now if you backfill from eSignal you will get:
MSFT Trade1 10:00:00
MSFT Trade2 10:00:00
MSFT Trade3 10:00:00
MSFT Trade4 10:00:00
and
INTC Trade1 10:00:00
INTC Trade2 10:00:00
And you have NO IDEA that INTC Trade2 came after MSFT Trade4
If you are testing TICK system that relies on data of MORE THAN ONE SYMBOL
you are in trouble because the played back order is different.
This is one more reason why it is required to record
in REAL TIME all streaming data coming in IN PARALLEL for all symbols
to get accurrate TICK playback.
5. As for:
> The data is there. The
> timestamps are there. Just playback the data at its normal speed.
Data is there but only TRADES (without bid/ask and all other extra RT info,
so perfect playback with RT quote window has not enough data - see point 3).
And as to playing back TRADES only - it is already available with 5 second step
- see point 2.
Adding 1-second step may be considered in the future HOWEVER,
it is still not "normal speed" because ticks occur NOT in regular 1-second
intervals. They occur from time to time IRREGULARLY. There can be
more than 400 TICKS in ONE SECOND on opening and there are one second periods
WITHOUT any ticks at all.
So "full tick playback" to be accurrate would need to send many hundreds of
virtual ticks per second and would need to play back from
real-time recorded , all-symbols data files (not one-symbol backfilled file).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "scourt2000" <stevehite@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, October 28, 2006 2:48 PM
Subject: [amibroker] Re: AmiBroker 4.88.0 BETA released
>
>> What you are asking is TICK playback but this requires
>> recording all ticks in real time for all symbols
>
> If you are a futures trader, you only care about 6-12 symbols.
> Personally, I trade the ER2 full-time and I would use the tick data
> for that (on my volume charts) and some NYSE market internals for
> playback. The majority of stock traders don't need (or care about)
> this level of detail for a playback. But futures traders do.
>
>>- this is LENGHTY process you need to wait for entire day recording
>>in real time data for just one day plus it would take huge amounts
>>of hard disk space (approx 1GB for 1 day of ticks for 100 symbols).
>
> Each week through eSignals tick download facility, I pull down the e-
> mini futures, NYSE market internals and the currency, gold, silver
> and oil futures. I import this data into an Amibroker tick database
> into made-up symbols that cover 1 full month of trading so that
> there's not a big memory concern with Amibroker.
>
> If I'm in Amibroker and have a tick database loaded, then it
> completely makes sense that the playback should support the
> resolution that the database offers. The data is there. The
> timestamps are there. Just playback the data at its normal speed.
>
> I don't understand where the problem is. It doesn't matter if you
> have to copy the data somewhere else temporarily before you play it
> back for each symbol chosen (for me, 5 symbols in 3 charts). Like I
> said, I split up the futures data for one symbol among many
> different sub-symbol to keep the memory space under control. We
> live in a world now where a PC user has 250-500 gig hard drives.
>
> I think anyone on this forum list who trades the e-minis for their
> livelihood understand what I'm saying here. We don't deal in 100's
> of stock symbols. We deal with only 3-6 symbols in a real-time
> environment and would like to have that same real-time experience
> during practice.
>
> Tomasz, do you know how many new futures trader customers you could
> get if you allowed what I'm talking about for playback? So many of
> them are eSignal customers already. They'd jump all over your
> product if you advertised full tick playback with eSignal tick data
> on multiple symbols. Let US worry about collecting the tick data for
> you to manage in playback (in eSignal, it's EASY). A 250-500 gig
> drive is CHEAP in comparison to practicing trading techniques to
> make a living from.
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
>
>
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